All exponential moving average combinations, from 2 to 30 for both the fast MA and slow MA, were tested. This system determines which combination yields the highest profit. The lookback period for the optimization is 500 trading days. Buy when fast MA crosses above the slow MA. Sell when fast MA crosses below the slow MA. Tested on daily price data.

Optimized MACD

The optimized parameters for the MACD (Moving Average Convergence/Divergence) system are a fast exponential MA, a slow exponential MA and a smoothing constant. The MACD line is simply the difference between the slow MA and fast MA. The smoothing constant is the period of the signal line. The signal line is an exponential moving average of the MACD line. The ranges tested for the parameters were 1-25 for the fast MA, 3-45 for the slow MA and 1-15 for the smoothing constant. The lookback period for the optimization is 500 trading days. Buy signals are generated when the MACD line is below zero and crosses above the signal line. When the MACD line is above zero and crosses below the signal line, a sell signal is generated. Tested on daily price data.

Optimized CCI

The Commodity Channel Index (CCI) is usually plotted as an oscillator. The calculations for the CCI indicator are based on a simple moving average of the "typical" price -- that is, the high + low + close divided by 3. The end result of the calculations is the CCI number. For this system, all CCI numbers from 2 to 100 were tested over a lookback period of 500 days. Buy signal is triggered when CCI reaches -100. Sell signal is triggered when CCI reaches +100. Tested on daily price data.

Definitions

Optimized Parameters

The optimized parameters are the indicator settings that yielded the most profitable results for the time frame tested.

Dates

The Start Date is the date of the first trade, the End Date is the date of the last trade. Dates are displayed in YYYYMMDD format.

Recent Trades

The most recent trades for the system. A short trade will generate a SELL status, while a long trade will generate a BUY status. Trades are established at the opening price of the trade date. Dates are displayed in YYYYMMDD format.

Status

Shows the current signal of the system. A SELL status indicates an open short trade, while a BUY status indicates an open long trade.

System Profit

The system profit is calculated from the start date (first trade) to the end date (last trade), factoring in all trades in between.

Buy/Hold Profit

The buy/hold profit is simply the percentage change between the opening price of the first trade (start date) and the opening price of the last trade (end date).

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